See this on MSDN
You can try to use the add handler to threadException of the application and also the CurrentDomain Unhandled Exception like you write in your code
Application.ThreadException += new ThreadExceptionEventHandler(Error_.MyExc);
Application.SetUnhandledExceptionMode(Error_.MyCatchExc);
// from your code
AppDomain.CurrentDomain.UnhandledException += new UnhandledExceptionEventHandler(MyErrorHandler);